Air is not a good conductor of heat because if air was a good conductor of heat then the heat of sun would make the air so warm that we could not survive on this planet.

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  Thermal conductivity of air is very less.   It is a poor conductor of heat.  It can be used as an thermal insulator.  There are some worse conductors of heat than air and some better conductors than air.

Gases transmit heat through convection also.       Still they are poor transmitters of heat. Usually at the windows there are two panes separated by an air column.  It is better to use two blankets during a cold night rather than one thick blanket.

I am giving some values here to support the answer.

    Air conducts 0.026 Watts of heat across a cross sectional area of 1 m^2 when the temperature difference across 1 meter wide air is 1 deg. Kelvin.   Some thermal conductivity values are:

   Air :  0.026 W
Argon : 0.021 Watts
Cotton wool:   0.029 Watts
   Water :   0.60  watts
Copper :    400 Watts.
Steel :   50 Watts and more (depends on steels)

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